def getOtherAssetType(blpData, position):
"""
For Fixed Income or Equity asset type, use Bloomberg "MARKET_SECTOR_DES"
field to lookup:
If the field is "Equity", then asset class = "Equity", sub category
"Listed Equity" if Bloomberg field "EXCH_MARKET_STATUS" = "ACTV", else
sub category "Unlisted Equity".
If the field is "Comdty", then asset type = ('Commodity', 'Derivatives')
Otherwise its Bloomberg field "CAPITAL_CONTINGENT_SECURITY"
= "Y", then asset class is:
('Fixed Income', 'Additional Tier 1, Contingent Convertibles')
Else use the below mapping
Corp -> Fixed Income, sub catetory "Corporate Bond"
Govt -> Fixed Income, sub catetory "Government Bond"
"""
isEquityType = lambda blpData, position: \
blpData[getIdnType(position)[0]]['MARKET_SECTOR_DES'] == 'Equity'
isCommodityType = lambda blpData, position: \
blpData[getIdnType(position)[0]]['MARKET_SECTOR_DES'] == 'Comdty'
isFIType = lambda blpData, position: \
blpData[getIdnType(position)[0]]['MARKET_SECTOR_DES'] in ['Corp', 'Govt']
isCapitalContingentSecurity = lambda blpData, position: \
blpData[getIdnType(position)[0]]['CAPITAL_CONTINGENT_SECURITY'] == 'Y'
# FIXME: this function is not complete, as index futures are not included
getEquityAssetType = lambda blpData, position: \
('Equity', 'Listed Equities') if blpData[getIdnType(position)[0]]['EXCH_MARKET_STATUS'] == 'ACTV' \
else ('Equity', 'Unlisted Equities')
# FIXME: this function is not complete, as physical commodity is not included
# getCommodityAssetType = lambda blpData, position: \
# ('Commodity', 'Derivatives')
getFIAssetType = lambda blpData, position: \
('Fixed Income', 'Additional Tier 1, Contingent Convertibles') \
if isCapitalContingentSecurity(blpData, position) else \
('Fixed Income', 'Corporate') if blpData[getIdnType(position)[0]]['MARKET_SECTOR_DES'] == 'Corp' else \
('Fixed Income', 'Government') if blpData[getIdnType(position)[0]]['MARKET_SECTOR_DES'] == 'Govt' else \
lognRaise('getFIAssetType(): unsupported FI type {0}'.format(getIdnType(position)))
return \
getEquityAssetType(blpData, position) if isEquityType(blpData, position) else \
getCommodityAssetType(blpData, position) if isCommodityType(blpData, position) else \
getFIAssetType(blpData, position) if isFIType(blpData, position) else \
lognRaise('getOtherAssetType(): invalid asset type: {0}'.format(getIdnType(position)))
def getOthersCountry(blpData, position):
"""
[Dictionary] blpData, [Dictionary] position => [String] country
The logic to deal with commodity product is not yet clear, so we put it
here.
"""
_id, _id_type = getIdnType(position)
if (_id, _id_type) == ('TYM1 Comdty', 'TICKER'):
return 'US'
else:
# FIXME: Add implementation
lognRaise('getCommodityCountry(): {0}'.format(getIdnType(position)))
def getFundCountry(blpData, position):
"""
[Dictionary] blpData, [Dictionary] position => [String] country
The logic to deal with fund, no matter listed fund (ETF) or open ended fund,
is not yet clear, so we put it here.
"""
# FIXME: Need a formal implementation, now just case by case
fundCountry = {}
try:
return fundCountry[getIdnType(position)[0]]
except KeyError:
lognRaise('getFundCountry(): {0}'.format(getIdnType(position)))
def verifyBlpPosition(self, p):
self.assertEqual('20200131', getPositionDate(p))
self.assertEqual('12734', getPortfolioId(p))
self.assertEqual('USD', getBookCurrency(p))
self.assertEqual(('USF2R125CE38', 'ISIN'), getIdnType(p))
self.assertEqual(11698622.22, getMarketValue(p))
self.assertEqual(11000000, getQuantity(p))
def verifyInvestmentPosition(self, p):
self.assertEqual('20200429', getPositionDate(p))
self.assertEqual('19437', getPortfolioId(p))
self.assertEqual('HKD', getBookCurrency(p))
self.assertEqual(('1299 HK Equity', 'TICKER'), getIdnType(p))
self.assertEqual(12749540, getMarketValue(p))
self.assertEqual(177200, getQuantity(p))
def getCommodityCountry(blpData, position):
"""
[Dictionary] blpData, [Dictionary] position => [String] country
The logic to deal with commodity product is not yet clear, so we put it
here.
"""
# FIXME: not implemented
lognRaise('getCommodityCountry(): {0}'.format(getIdnType(position)))
def getMoneyMarketCountry(position):
"""
[Dictionary] position => [String] country
A money market product can be an OTC product, for example, a fixed deposit,
so we deal with them here.
"""
# FIXME: Assume all money market instruments are made in Hong Kong
return lognContinue(
'getMoneyMarketCountry(): {0}'.format(getIdnType(position)), 'HK')
def getPrivateSecurityCountry(position):
"""
[Dictionary] position => [String] country
A private security is a non-listed security, non-listed fund or others
that cannot find their information through Bloomberg. So we deal with them
here.
"""
# FIXME: Add implementation
lognRaise('getPrivateSecurityCountry(): {0}'.format(getIdnType(position)))
def getAverageRatingScoreSpecialCase(position):
"""
[Dictionary] position => [Float] score
When none of the rating agencies gives a credit rating, we provide the
ratings here.
The current implementation gives a rating score of 0 in such case.
"""
logger.warning('getAverageRatingScoreSpecialCase(): {0}'.format(
getIdnType(position)))
return 0
def isSpecialCase(position):
"""
[Dictionary] position => [Bool] is this a special case in asset type,
private security, open ended fund or something
that needs override.
"""
portfolioMatched = lambda p1, p2: True if p2 == '' or p1 == p2 else False
return compose(
lambda t: t[0] in t[2] and portfolioMatched(t[1], t[2][t[0]][
'Portfolio']), lambda position:
(getIdnType(position)[0], getPortfolioId(position),
getAssetTypeSpecialCaseData()))(position)
def getAssetType(blpData, position):
"""
[Dictionary] position (a Geneva or Blp position)
=> [Tuple] asset type
The asset type is a tuple containing the category and sub category, like
('Cash', ), ('Fixed Income', 'Corporate') or ('Equity', 'Listed')
"""
logger.debug('getAssetType(): {0}'.format(getIdnType(position)))
return \
getSpecialCaseAssetType(position) if isSpecialCase(position) else \
getPrivateSecurityAssetType(position) if isPrivateSecurity(position) else \
('Cash', ) if isCash(position) else \
('Foreign Exchange Derivatives', ) if isFxForward(position) else \
('Fixed Income', 'Cash Equivalents') if isMoneyMarket(position) else \
getRepoAssetType(position) if isRepo(position) else \
getFundAssetType(position) if isFund(position) else \
getOtherAssetType(blpData, position)
def getAverageRatingScore(blpData,
position,
specialCaseHandler=getAverageRatingScoreSpecialCase):
"""
[Dictionary] blpData, [Dictionary] position
=> [Float] score
"""
logger.debug('getAverageRatingScore(): {0}'.format(getIdnType(position)))
averageScore = lambda position, scores: \
specialCaseHandler(position) if len(scores) == 0 else \
scores[0] if len(scores) == 1 else \
min(scores) if len(scores) == 2 else \
sorted(scores)[1]
return \
compose(
partial(averageScore, position)
, lambda scores: list(filterfalse(lambda x: x == 0, scores))
, getRatingScores
)(blpData, position)
def getGenevaLqaPositions(positions):
"""
[Iterable] positions => [Iterable] positions
Read Geneva consolidated tax lot positions, then do the following:
1) take out those not suitable for liquidity test (cash, FX forward, etc.);
2) Add Id, IdType and Position fields for LQA processing.
"""
# [Dictonary] p => [Dictionary] enriched position with id and idType
addIdnType = compose(
lambda t: mergeDict(t[2], {'Id': t[0], 'IdType': t[1]})
, lambda p: (*getIdnType(p), p)
)
return compose(
partial(map, addIdnType)
, partial(filterfalse, noNeedLiquidityGeneva)
, lambda positions: lognContinue('getGenevaLqaPositions(): start', positions)
)(positions)
def getCountryCode(blpData, position):
"""
[Dictionary] blpInfo, [Dictionary] position => [String] country code
"""
logger.debug('getCountryCode(): {0}'.format(getIdnType(position)))
isCommodityType = lambda blpData, position: \
getAssetType(blpData, position)[0] == 'Commodity'
isFundType = lambda blpData, position: \
getAssetType(blpData, position)[0] == 'Fund'
isEquityType = lambda blpData, position: \
getAssetType(blpData, position)[0] == 'Equity'
isFIType = lambda blpData, position: \
getAssetType(blpData, position)[0] == 'Fixed Income'
isOthersType = lambda blpData, position: \
getAssetType(blpData, position)[0] == 'Others'
return \
getSpecialCaseCountry(position) if isSpecialCase(position) else \
getPrivateSecurityCountry(position) if isPrivateSecurity(position) else \
getRepoCountry(position) if isRepo(position) else \
getMoneyMarketCountry(position) if isMoneyMarket(position) else \
getCommodityCountry(blpData, position) if isCommodityType(blpData, position) else \
getFundCountry(blpData, position) if isFundType(blpData, position) else \
getOthersCountry(blpData, position) if isOthersType(blpData, position) else \
getEquityCountry(blpData, position) if isEquityType(blpData, position) else \
getFICountry(blpData, position) if isFIType(blpData, position) else \
lognRaise('getCountryCode(): unsupported asset type')
def getBlpLqaPositions(positions):
"""
[Iterable] positions => ( [Iterable] CLO positions
, [Iterable] nonCLO positions
)
Read Bloomberg raw positions, then do the following:
1) take out those not suitable to do liquidity test (cash, FX forward, etc.);
2) take out DIF fund positions, since they will come from Geneva;
2) split into clo and nonCLO positions.
Return (CLO positions, nonCLO positions)
"""
removeUnwantedPositions = compose(
partial( filterfalse
, lambda p: p['Asset Type'] in [ 'Cash', 'Foreign Exchange Forward'
, 'Repo Liability', 'Money Market'] \
or p['Name'] in ['.FSFUND HK', 'CLFLDIF HK'] # open ended funds
)
, partial(filterfalse, lambda p: p['Position'] == '' or p['Position'] <= 0)
)
# [Dictionary] position => [Dictioanry] position with id and idtype
updatePositionId = compose(
lambda t: mergeDict(t[2], {'Id': t[0], 'IdType': t[1]})
, lambda position: (*getIdnType(position), position)
)
isCLOPortfolio = lambda p: p['Account Code'] in \
['12229', '12734', '12366', '12630', '12549', '12550', '13007']
"""
[Iterable] positions => ( [Iterable] CLO positions
, [Iterable] non CLO positions
)
Split the positions into All, CLO and non-CLO group
"""
splitCLO = lambda positions: \
reduce( lambda acc, el: ( chain(acc[0], [el])
, acc[1]
) if isCLOPortfolio(el) else \
( acc[0]
, chain(acc[1], [el])
)
, positions
, ([], [])
)
return \
compose(
splitCLO
, partial(map, updatePositionId)
, removeUnwantedPositions
, lambda positions: lognContinue('getBlpLqaPositions(): start', positions)
)(positions)
def getPrivateSecurityAssetType(position):
"""
[Dictionary] position => [Tuple] Asset Type
Handle special cases for private securities
"""
# FIXME: add implementation
logger.debug('getPrivateSecurityAssetType()')
raise ValueError
""" [Dictionary] position => [Tuple] asset type """
getSpecialCaseAssetType = lambda position: \
getAssetTypeSpecialCaseData()[getIdnType(position)[0]]['AssetType']
""" [Dictionary] position => [String] country """
getSpecialCaseCountry = lambda position: \
getAssetTypeSpecialCaseData()[getIdnType(position)[0]]['CountryCode']
def isSpecialCase(position):
"""
[Dictionary] position => [Bool] is this a special case in asset type,
private security, open ended fund or something
that needs override.
"""
portfolioMatched = lambda p1, p2: True if p2 == '' or p1 == p2 else False
return compose(
lambda t: t[0] in t[2] and portfolioMatched(t[1], t[2][t[0]][
def getEquityCountry(blpData, position):
"""
[Dictionary] blpData, [Dictionary] position => [String] country
"""
logger.debug('getEquityCountry()')
return blpData[getIdnType(position)[0]]['CNTRY_ISSUE_ISO']
def getFICountry(blpData, position):
"""
[Dictionary] blpData, [Dictionary] position => [String] country
"""
logger.debug('getFICountry()')
return blpData[getIdnType(position)[0]]['CNTRY_OF_RISK']